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Risk Management and
Financial Institutions, 3rd Edition
ISBN: 978-1-118-26903-9
Chapter 1: Introduction
Chapter 2: Banks
Chapter 3: Insurance Companies and Pension Funds
Chapter 4: Mutual Funds and Hedge Funds
Chapter 5: Trading in Financial Markets
Chapter 6: The Credit Crisis of 2007
Chapter 7: How Traders Manage Their Risks
Chapter 8: Interest Rate Risk
Chapter 9: Value at Risk
Chapter 10: Volatility
Chapter 11: Correlations and Copulas
Chapter 12: Basel I, Basel II, and Solvency II
Chapter 13: Basel 2.5, Basel III, and Dodd-Frank
Chapter 14: Market Risk VaR: The Historical Simulation Approach
Chapter 15: Market Risk VaR: The Model-Building Approach
Chapter 16: Credit Risk: Estimating Default Probabilities
Chapter 17: Counterparty Credit Risk in Derivatives
Chapter 18: Credit Value at Risk
Chapter 19: Scenario Analysis and Stress Testing
Chapter 20: Operational RiskChapter 21: Liquidity Risk
Chapter 22: Model Risk
Chapter 23: Economic Capital and RAROC
Chapter 24: Risk Management Mistakes to Avoid
Appendix A: Compounding Frequencies and Interest Rates
Appendix B: Zero Rates, Forward rates, and Zero-Coupon Yield Curves
Appendix C: Valuing Forward and Futures Contracts
Appendix D: Valuing Swaps
Appendix E: Valuing European Options
Appendix F: Valuing American Options
Appendix G: Taylor Series Expansions
Appendix H: Eigenvectors and Eigenvalues
Appendix I: Principal Components Analysis
Appendix J: The Manipulation of Credit Transition Matrices
Appendix K: Valuation of Credit Default Swaps
Appendix L: Synthetic CDOs and Their Valuation
Answers to Questions and Problems
Glossary of Terms
DerivaGem Software
Table for N(x) when x≤0Table for N(x) when x≥0
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